Optimizing Omega

S.J. Kane, M. Bartholomew-Biggs, M. Cross, M. Dewar

Research output: Contribution to journalArticlepeer-review

21 Citations (Scopus)
135 Downloads (Pure)

Abstract

This paper considers the Omega function, proposed by Cascon, Keating & Shadwick as a performance measure for comparing financial assets. We discuss the use of Omega as a basis for portfolio selection. We show that the problem of choosing portfolio weights in order to maximize Omega typically has many local solutions and we describe some preliminary computational experience of finding the global optimum using a NAG library implementation of the Huyer & Neumaier MCS method.
Original languageEnglish
Pages (from-to)153-167
JournalJournal of Global Optimization
Volume45
Issue number1
DOIs
Publication statusPublished - 2009

Keywords

  • portfolio selection
  • Omega function
  • MCS method

Fingerprint

Dive into the research topics of 'Optimizing Omega'. Together they form a unique fingerprint.

Cite this